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Your search for "serial correlation" over the article keywords returned 11 results.

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1. spurious regressions

Simulations have shown that if two independent time series, each being highly autocorrelated, are put into a standard regression framework, then the usual ...

By Clive W. J. Granger. From The New Palgrave Dictionary of Economics, Second Edition, 2008

2. Durbin-Watson statistic

The well-known Durbin–Watson, or DW, statistic, which was proposed by Durbin and Watson (1950; 1951), is used for testing the null hypothesis that the ...

By James G. MacKinnon. From The New Palgrave Dictionary of Economics, Second Edition, 2008

3. serial correlation and serial dependence

In this article we discuss serial correlation in a linear time series regression context and serial dependence in a nonlinear time series context. We ...

By Yongmiao Hong. From The New Palgrave Dictionary of Economics, Second Edition, 2008

4. heteroskedasticity and autocorrelation corrections

Many time series studies, including in particular those estimated by generalized method of moments, involve disturbances that are serially correlated ...

By Kenneth D. West. From The New Palgrave Dictionary of Economics, Second Edition, 2008

5. instrumental variables

Instrumental variables methods are an essential tool in modern econometric practice. The method itself is of ancient lineage and historically ...

By Charles E. Bates, Moshe Buchinsky and Steven N. Durlauf. From The New Palgrave Dictionary of Economics, Second Edition, 2008

6. wavelets

Wavelets provide a flexible basis for representing a signal that can be regarded as a generalization of Fourier analysis to non-stationary processes, ...

By James B. Ramsey. From The New Palgrave Dictionary of Economics, Second Edition, 2008

7. identification

The problem of identification is defined in terms of the possibility of characterizing parameters of interest from observable data. This problem occurs ...

By Jean-Marie Dufour and Cheng Hsiao. From The New Palgrave Dictionary of Economics, Second Edition, 2008

8. model selection

The problem of statistical model selection in econometrics and statistics is reviewed. Model selection is interpreted as a decision problem through which ...

By Jean-Marie Dufour. From The New Palgrave Dictionary of Economics, Second Edition, 2008

9. structural change, econometrics of

This article is concerned with methodological issues related to estimation, testing and computation in the context of structural changes in linear models. ...

By Pierre Perron. From The New Palgrave Dictionary of Economics, Second Edition, 2008

10. efficient markets hypothesis

The efficient markets hypothesis (EMH) maintains that market prices fully reflect all available information. Developed independently by Paul A. Samuelson ...

By Andrew W. Lo. From The New Palgrave Dictionary of Economics, Second Edition, 2008